liquibook 1.0.0

Order Matching Engine and Market Data - Liquibook

This project is a python wrapper for Liquibook. Liquibook is a low latency open source order matching engine written in modern C++ - Liquibook Source Code

This project allows to submit orders and receive the following notifications:

• Order State

  • Order accepted
  • Order rejected
  • Order filled (full or partial)
  • Order replaced
  • Replace request rejected
  • Order canceled
  • Cancel request rejected.

• Order Book State

  • Depth book changed
  • Best Bid or Best Offer (BBO) changed

---

Example:

• Submitting Buy - Price : 100 Size: 10

  • Receive and print
    • Order accept details
    • Price depth
    • BBO Change

• Submitting Buy - Price : 110 Size: 10

  • Receive and print
    • Order accept details
    • Price depth
    • BBO Change

• Submitting Sell - Price : 120 Size: 30

  • Receive and print
    • Order accept details
    • Price depth
    • BBO Change

• Cancelling Sell - Price : 120 Size: 30

  • Receive and print
    • Order cancel details
    • Price depth
    • BBO Change

• Submitting Sell - Price : 100 Size: 25

  • Receive and print
    • Order accept details
    • Trades @110
    • Trades @100
    • Price depth
    • BBO Change

---

import liquibook
from liquibook import pretty_print
import time

class DepthListener(liquibook.DepthListener):

    def __init__(self):
        print("DepthListener")
        liquibook.DepthListener.__init__(self)

    def on_depth_change(self, book, depth):
        print('Depth change:[' + book.symbol() + ']')
        print(liquibook.pretty_print.depth_header)
        print(liquibook.pretty_print.depth_header_separator)
        pretty_depth = liquibook.pretty_print.depth(depth)
        print(pretty_depth)
        print('\n')


class OrderListener(liquibook.OrderListener):

    def __init__(self):
        print("OrderListener")
        liquibook.OrderListener.__init__(self)

    def on_accept(self, order):
        print('Order accepted: [' + str(order.order_id_) + ']')
        order_string = liquibook.pretty_print.order(order)
        print(liquibook.pretty_print.order_header)
        print(liquibook.pretty_print.order_header_separator)
        print(order_string)
        print('\n')


    def on_cancel(self, order):
        print('Order cancelled: [' + str(order.order_id_) + ']')
        order_string = liquibook.pretty_print.order(order)
        print(liquibook.pretty_print.order_header)
        print(liquibook.pretty_print.order_header_separator)
        print(order_string)
        print('\n')

    def on_fill(self, passive_order, aggressive_order, fill_qty, fill_cost):

        passive_order.fill(fill_qty, fill_cost,0)
        aggressive_order.fill(fill_qty, fill_cost,0)

        print('Orders Filled: @' + str(fill_cost) + '')

        print(liquibook.pretty_print.order_header)
        print(liquibook.pretty_print.order_header_separator)
        aggressive_order_string = liquibook.pretty_print.order(passive_order)
        passive_order_order_string = liquibook.pretty_print.order(aggressive_order)
        print(aggressive_order_string)
        print(passive_order_order_string+'\n')


class BBOListener(liquibook.DepthOrderBookBboListener):

    def __init__(self):
        print("BBO Listener")
        liquibook.DepthOrderBookBboListener.__init__(self)

    def on_bbo_change(self, book, depth):
        print('Best bid/offer change: [' + book.symbol() + ']')
        print(liquibook.pretty_print.depth_header)
        print(liquibook.pretty_print.depth_header_separator)
        bid_price_size_tuple = liquibook.pretty_print.depth_level(depth.bids())
        ask_price_size_tuple = liquibook.pretty_print.depth_level(depth.asks())

        top_level_out = liquibook.pretty_print.depth_header_format.\
                format(bid=bid_price_size_tuple, ask=ask_price_size_tuple)
        print(top_level_out+'\n')


if __name__ == '__main__':

    order_book_listener = DepthListener()
    bbo_listener = BBOListener()
    order_listener = OrderListener()

    basic_order_book = liquibook.DepthOrderBook()
    basic_order_book.set_bbo_listener(bbo_listener)
    basic_order_book.set_depth_listener(order_book_listener)
    basic_order_book.set_order_listener(order_listener)
    basic_order_book.set_symbol('AAPL')

    transaction_seprator="="*len(liquibook.pretty_print.order_header)

    print(transaction_seprator)
    buy_order_1 = liquibook.SimpleOrder(True, 100, 10)
    print('Submitting Buy - Price : {:<7} Size: {:<7}'.format(buy_order_1.price(), buy_order_1.order_qty()))
    time.sleep(1)
    basic_order_book.add(buy_order_1)
    print(transaction_seprator)

    buy_order_2 = liquibook.SimpleOrder(True, 110, 10)
    print('\n\nSubmitting Buy - Price : {:<7} Size: {:<7}'.format(buy_order_2.price(), buy_order_2.order_qty()))
    time.sleep(1)
    basic_order_book.add(buy_order_2)
    print(transaction_seprator)

    sell_order_1 = liquibook.SimpleOrder(False, 120, 30)
    print('\n\nSubmitting Sell - Price : {:<7} Size: {:<7}'.format(sell_order_1.price(), sell_order_1.order_qty()))
    time.sleep(2)
    basic_order_book.add(sell_order_1)
    print(transaction_seprator)

    print('\n\nCancelling Sell - Price : {:<7} Size: {:<7}'.format(sell_order_1.price(), sell_order_1.order_qty()))
    time.sleep(2)
    basic_order_book.cancel(sell_order_1)
    print(transaction_seprator)

    sell_order_2 = liquibook.SimpleOrder(False, 100, 25)
    print('\n\nSubmitting Sell - Price : {:<7} Size: {:<7}'.format(sell_order_2.price(), sell_order_2.order_qty()))
    time.sleep(2)
    basic_order_book.add(sell_order_2)
    print(transaction_seprator)